| Publication | Date of Publication | Type |
|---|
Space-grid approximations of hybrid stochastic differential equations and first-passage properties
Journal of Applied Probability | 2026-07-31 | Paper |
Modeling discrete common-shock risks through matrix distributions
ASTIN Bulletin | 2026-01-22 | Paper |
Pathwise Convergence of a Modular Simulation Scheme for Hybrid SDEs with Memory
(available as arXiv preprint) | 2026-01-01 | Paper |
Rational arrival processes with strictly positive densities need not be Markovian
(available as arXiv preprint) | 2026-01-01 | Paper |
Matrix Representations for Scale Functions of Spectrally Negative Lévy Processes with Rational Jumps
(available as arXiv preprint) | 2026-01-01 | Paper |
Optimization-Free Concentrated Matrix-Exponentials
(available as arXiv preprint) | 2026-01-01 | Paper |
Equivalence and Separation for Multivariate Matrix-Exponential and Phase-Type Distribution Classes
(available as arXiv preprint) | 2026-01-01 | Paper |
Colored Markov-Modulated Brownian Motion for Preemptive Workload Stacks
(available as arXiv preprint) | 2026-01-01 | Paper |
Least Variability in a Polynomial-Square Class of Rational Kernels
(available as arXiv preprint) | 2026-01-01 | Paper |
Least-Variable Harmonic Matrix-Exponential Distributions
(available as arXiv preprint) | 2026-01-01 | Paper |
Assessing continuous common-shock risk through matrix distributions
Scandinavian Actuarial Journal | 2026-01-01 | Paper |
Approximations of semi-Markov processes and insurance policy valuation
Finance and Stochastics | 2025-12-30 | Paper |
Strongly convergent homogeneous approximations to inhomogeneous Markov jump processes and applications
Mathematics of Operations Research | 2025-02-21 | Paper |
Hybrid Risk Processes: A Versatile Framework for Modern Ruin Problems
(available as arXiv preprint) | 2025-01-01 | Paper |
Assessing continuous common-shock risk through matrix distributions
(available as arXiv preprint) | 2025-01-01 | Paper |
| The matrix sequential probability ratio test and multivariate ruin theory | 2024-10-31 | Paper |
Ruin problems for risk processes with dependent phase-type claims
Methodology and Computing in Applied Probability | 2023-12-11 | Paper |
| Pathwise and distributional approximations of semi-Markov processes | 2023-12-11 | Paper |
| Ruin-dependent bivariate stochastic fluid processes | 2023-07-31 | Paper |
| Wong--Zakai approximation of regime-switching SDEs via rough path theory | 2023-04-19 | Paper |
| Duration-dependent stochastic fluid processes and solar energy revenue modeling | 2023-04-12 | Paper |
A Markov jump process associated with the matrix-exponential distribution
Journal of Applied Probability | 2023-03-09 | Paper |
Duration-dependent stochastic fluid processes and solar energy revenue modeling
(available as arXiv preprint) | 2023-01-01 | Paper |
Wong--Zakai approximation of regime-switching SDEs via rough path theory
(available as arXiv preprint) | 2023-01-01 | Paper |
Ruin-dependent bivariate stochastic fluid processes
(available as arXiv preprint) | 2023-01-01 | Paper |
| Space-grid approximations of hybrid stochastic differential equations and first passage properties | 2022-11-03 | Paper |
Multivariate matrix-exponential affine mixtures and their applications in risk theory
Insurance Mathematics & Economics | 2022-09-14 | Paper |
Strong convergence to two-dimensional alternating Brownian motion processes
Stochastic Models | 2022-07-18 | Paper |
RAP-modulated fluid processes: first passages and the stationary distribution
Stochastic Processes and their Applications | 2022-05-16 | Paper |
| Strongly convergent homogeneous approximations to inhomogeneous Markov jump processes and applications | 2022-04-06 | Paper |
Rate of strong convergence to Markov-modulated Brownian motion
Journal of Applied Probability | 2022-04-01 | Paper |
Space-grid approximations of hybrid stochastic differential equations and first passage properties
(available as arXiv preprint) | 2022-01-01 | Paper |
| Wong--Zakai approximations with convergence rate for stochastic differential equations with regime switching | 2021-01-08 | Paper |
Wong--Zakai approximations with convergence rate for stochastic differential equations with regime switching
(available as arXiv preprint) | 2021-01-01 | Paper |
An explicit solution to the Skorokhod embedding problem for double exponential increments
Statistics & Probability Letters | 2020-09-01 | Paper |
Parisian types of ruin probabilities for a class of dependent risk-reserve processes
Scandinavian Actuarial Journal | 2018-12-14 | Paper |
Approximation of ruin probabilities via Erlangized scale mixtures
Insurance Mathematics & Economics | 2018-02-15 | Paper |
Approximation of ruin probabilities via Erlangized scale mixtures
Insurance Mathematics & Economics | 2018-02-15 | Paper |
